The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
DOI10.1007/S10690-011-9142-8zbMATH Open1245.91092OpenAlexW1995905272MaRDI QIDQ431920FDOQ431920
Romuald Hervé Momeya, Zied Ben Salah
Publication date: 3 July 2012
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-011-9142-8
Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Financial Modelling with Jump Processes
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Applied Probability and Queues
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- Option hedging for semimartingales
- Pricing contingent claims on stocks driven by Lévy processes
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
- Markov additive processes. I
- Markov additive processes. II
- On the rate of convergence of discrete-time contingent claims.
- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- The minimal entropy martingale measures for geometric Lévy processes
- Filtering with discrete state observations
- Markov Processes with Homogeneous Second Component. I
- Markov Processes with Homogeneous Second Component, II
- The minimal entropy martingale measures for exponential additive processes
Cited In (6)
- Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Lévy systems and the time value of ruin for Markov additive processes
- On the price of risk under a regime switching CGMY process
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
This page was built for publication: The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q431920)
